Shanghai Stock Exchange Composite Index Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, October 20th, 2026
1 Day
18.02%
decreased by 0.51%
1 Week
18.46%
decreased by 0.07%
1 Month
20.15%
increased by 1.62%
Analysis last updated: Monday, October 19, 2026 at 08:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Oct 16, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
μ
AMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0324 | 5.89*** |
| αARCH | 0.1793 | 8.35*** |
| βGARCH | 0.7917 | 62.70*** |
| γleverage | 0.0580 | 1.89* |
1.000
Persistence-
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0324 | 5.89*** |
α ARCH Response to squared shocks | 0.1793 | 8.35*** |
β GARCH Volatility persistence | 0.7917 | 62.70*** |
γ leverage Additional response to negative shocks | 0.0580 | 1.89* |
Persistence:
1.000
Half-life:
-
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